Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0106 |
| Annualized Std Dev | 0.1438 |
| Annualized Sharpe (Rf=0%) | -0.0738 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4650.0000 |
| NAs | 1.0000 |
| Minimum | -0.1858 |
| Quartile 1 | -0.0039 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0040 |
| Maximum | 0.1229 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0091 |
| Skewness | -1.3684 |
| Kurtosis | 56.3129 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0066 |
| Gain Deviation | 0.0066 |
| Loss Deviation | 0.0076 |
| Downside Deviation (MAR=210%) | 0.0117 |
| Downside Deviation (Rf=0%) | 0.0066 |
| Downside Deviation (0%) | 0.0066 |
| Maximum Drawdown | 0.4479 |
| Historical VaR (95%) | -0.0125 |
| Historical ES (95%) | -0.0206 |
| Modified VaR (95%) | -0.0078 |
| Modified ES (95%) | -0.0078 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2012-07-27 | 2020-03-18 | NA | -0.4479 | 2175 | 1921 | NA |
| 2002-10-04 | 2008-10-10 | 2010-08-23 | -0.4114 | 1984 | 1515 | 469 |
| 2010-09-22 | 2011-01-14 | 2011-12-27 | -0.1613 | 320 | 81 | 239 |
| 2012-03-01 | 2012-03-26 | 2012-06-22 | -0.0971 | 80 | 18 | 62 |
| 2012-02-03 | 2012-02-17 | 2012-02-29 | -0.0371 | 18 | 11 | 7 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 | 0 | 0.1 | -2.1 | -2 |
| 2003 | 0.2 | -0.5 | 0.5 | 0.4 | -0.9 | 0.3 | 1.4 | 0.3 | -0.9 | 0.5 | 0.9 | 0.5 | 2.7 |
| 2004 | 0.1 | -0.1 | 0.3 | 0.2 | -1.3 | 0.6 | 0.7 | -0.2 | 0.5 | 0.2 | -0.7 | 0.4 | 0.7 |
| 2005 | 0.4 | -0.4 | 0 | 0.6 | -0.1 | 0.5 | -1.2 | 0.1 | -0.6 | -0.1 | -0.7 | -0.3 | -1.8 |
| 2006 | -0.7 | 0.7 | 1.2 | -1.5 | 0.1 | -0.3 | -0.4 | 0.3 | 0.7 | 1 | 0.9 | -0.6 | 1.2 |
| 2007 | -0.8 | 0 | 0.3 | 0.4 | -0.6 | 1 | 1.1 | 0.2 | 0.4 | -1.2 | 1.8 | 1 | 3.6 |
| 2008 | 0.3 | -0.9 | 1.1 | 0.2 | -0.2 | 0.2 | 0.3 | 0 | -0.4 | 0.7 | -0.9 | -1.3 | -0.9 |
| 2009 | -0.8 | 0.2 | -0.4 | 0.1 | 0.2 | 1 | 0.2 | 0.2 | 0.8 | 0.2 | -0.7 | -0.8 | 0.2 |
| 2010 | 0.4 | -0.4 | -0.8 | -1.2 | 0 | -0.4 | -0.1 | 1.7 | -1 | -0.3 | -2 | 1.1 | -3.1 |
| 2011 | -0.2 | 0.2 | 0.5 | 0.4 | 0.4 | 0.7 | 0.5 | 0 | -0.8 | 0.8 | 0.8 | 1.4 | 4.9 |
| 2012 | 1.1 | -1.1 | -0.4 | 0.2 | -0.4 | 0 | -0.6 | 0.1 | -0.3 | 0.7 | -0.6 | 0.3 | -1.1 |
| 2013 | 0.7 | -0.5 | -0.3 | -1 | -0.7 | -1.8 | -0.3 | -1.3 | 0 | -1.1 | -0.8 | 1 | -5.9 |
| 2014 | 0.6 | -1.6 | -0.1 | 0.1 | -0.6 | -0.3 | 0.4 | -0.6 | 0.6 | 0.1 | 0 | 0 | -1.5 |
| 2015 | 1 | 0 | -0.3 | -1.3 | 0.4 | 0.7 | 3.6 | -0.1 | 1.2 | -0.6 | 0.1 | -0.1 | 4.7 |
| 2016 | 0.7 | 1 | 0.8 | 0.3 | 1.2 | 0 | 0.2 | -0.5 | -0.4 | -0.7 | -0.2 | -0.1 | 2.2 |
| 2017 | -0.2 | -0.2 | 0.6 | -0.5 | 0.2 | 0.2 | 0.5 | -0.5 | 0.6 | -0.2 | -0.2 | 0.1 | 0.4 |
| 2018 | -0.6 | -0.2 | 0.2 | -0.5 | -0.1 | -0.3 | 0 | 0.1 | -0.4 | 0.3 | -0.2 | 0.7 | -0.9 |
| 2019 | -0.2 | 0.1 | -2.8 | -0.1 | 0.1 | 0 | 0.7 | 0 | -0.3 | 0.3 | -0.1 | 0.3 | -1.9 |
| 2020 | 0.1 | -1.5 | -4 | 0.7 | 1 | 0.8 | 0.2 | -0.3 | 0.4 | -0.3 | 0.7 | -0.1 | -2.3 |
| 2021 | 0.1 | 0.7 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
